Minimal martingale measures for jump diffusion processes

DOI10.1239/JAP/1077134683MaRDI QIDQ4819453zbMATH OpenOpenAlexFDO

Authors Takuji Arai

Publication date 24 September 2004

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1077134683

zbMATH Keywords

incomplete marketjump diffusion processminimal martingale measurelocally risk minimizing

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic models in economics (91B70)

Recommendations

• The minimal martingale measure for jump diffusion processes and its properties
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• The relations between minimal martingale measure and minimal entropy martingale measure
• Shot-noise processes and the minimal martingale measure
• Minimal martingale measures for discrete-time incomplete financial markets

Cites work

• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• A guided tour through quadratic hedging approaches
• On quadratic hedging in continuous time
• Option hedging for semimartingales
• Pricing contingent claims on stocks driven by Lévy processes
• \(\mathcal E\)-martingales and their applications in mathematical finance

Cited in

(19)

• Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• A SHOT NOISE MODEL FOR FINANCIAL ASSETS
• On jump-diffusion processes with regime switching: martingale approach
• The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
• Quantification of model risk in quadratic hedging in finance
• The minimal martingale measure for the price process with Poisson shot noise jumps
• Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
• On the structure of general mean-variance hedging strategies
• Robustness of quadratic hedging strategies in finance via Fourier transforms
• The minimal martingale measure for jump diffusion processes and its properties
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• Minimal martingale measures for discrete-time incomplete financial markets
• Information on jump sizes and hedging
• The mean-variance hedging in a bond market with jumps
• Shot-noise processes and the minimal martingale measure
• On the existence of martingale measures in jump diffusion market models
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• Mean Variance Hedging in a General Jump Model

This page was built for publication: Minimal martingale measures for jump diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4819453)